# Questions tagged [hullwhite]

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### Applicability of PCA to get historical volatilities to calibrate interest rates trees

My question in short is as follows: can I take main principal component of historical covariance matrix and use it as historical volatilities when fitting a binomial tree? Here's more detailed ...
13k views

### How to calibrate Hull-White from zero curve?

I am interested in calibrating a Hull-White model to the market. I do not, however, have data on anything except the market zero curves, as all derivatives are being traded OTC. My plan is to ...
505 views

### Zero Coupon Bond prices in One Factor Hull White model

I implemented the one factor Hull White model for educational purposes and I calibrated the model from a given (made up!) yield curve: The Zero Coupon Bond Prices from this yield curve are: Taking ...
2k views

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### Calibrating a two-factor Hull-White model using Neural Networks

So I have the following short-rate model $$dX_t = a_1X_tdt + \sigma_1dW_t$$ $$dY_t = a_2Y_tdt + \sigma_2dB_t$$ $$r_t = X_t + Y_t + f(t)$$ with $X_0 = Y_0 = 0$ where $W$ and $B$ are Brownian motions ...
629 views

### Whites Reality Check for Pair Trading

I want to use the Monte Carlo Method described in Aronsons book Evidence based Technical Analysis to test if a given pairs trading strategy is useless. First step there is to randomize the returns of ...
4k views

65 views

### Convert Short rate from HW simulation into Swap rates

I am trying to price an exotic option that requires me to simulate 10 yr swap rates. I have calibrated a 1 factor HW model to swaption prices. However, my understanding is that the HW model describes ...